Spain and Sweden both won in the opening round of games in Group F, whilst Northern Ireland were defeated at home.
Luis Aragones side were expected to roll-over minnows Liechtenstein and did so with a 4-0 win in Badajoz.
Atletico Madrid striker Fernando Torres scored with a great finish after 20 minutes and strike partner David Villa then doubled his side's advantage on the stroke of half time.
Valencia hit-man Villa grabbed a second just after the hour mark, and four minutes later, Liverpool's Luis Garcia scored after collecting a pass from Mariano Pernia to complete the rout.
Sweden opened their Euro 2008 qualifying campaign with a 1-0 away win in Latvia.
The Scandinavian outfit, who made it into the last 16 at the World Cup finals, prevailed in Riga thanks to a goal from Kim Kallstrom.
The Lyon midfielder fired home from the edge of the box after 38 minutes, as Lars Lagerback's side took all three points from a tricky-looking away trip.
Earlier, Iceland beat Northern Ireland 3-0 in Belfast with a fine performance.